The M-estimation in a multi-phase random nonlinear model
AbstractThis paper extends the results of M-estimation in [Koul, H.L., Qian, L., Surgailis, D., 2003. Asymptotics of M-estimators in two-phase linear regression models. Stochastic Processes and their Applications, 103, 123-154] to a general nonlinear random design regression model with multiple change-points at unknown times. The M-estimator of locations of breaks and of regression parameters are consistent. Convergence rate and asymptotic distribution are obtained.
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Bibliographic InfoArticle provided by Elsevier in its journal Statistics & Probability Letters.
Volume (Year): 79 (2009)
Issue (Month): 5 (March)
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Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description
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- Perron, P. & Bai, J., 1995.
"Estimating and Testing Linear Models with Multiple Structural Changes,"
Cahiers de recherche
9552, Universite de Montreal, Departement de sciences economiques.
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- Koul, Hira L. & Qian, Lianfen & Surgailis, Donatas, 2003. "Asymptotics of M-estimators in two-phase linear regression models," Stochastic Processes and their Applications, Elsevier, vol. 103(1), pages 123-154, January.
- Ciuperca, Gabriela, 2011. "A general criterion to determine the number of change-points," Statistics & Probability Letters, Elsevier, vol. 81(8), pages 1267-1275, August.
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